Nonparametric tests for constant tail dependence with an application to energy and finance

DOI10.1016/j.jeconom.2015.02.002zbMath1337.62110OpenAlexW2091294513MaRDI QIDQ494381

Axel Bücher, Dominik Wied, Stefan R. Jaschke

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://alfresco.uclouvain.be/alfresco/service/guest/streamDownload/1468cf8f-0ef5-4990-96a1-6796703e9854/DP2013_33_buecher_nonparametric.pdf?guest=true

zbMATH Keywords

weak convergencetail dependencemultiplier bootstrapbreak-point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Related Items (7)

Spatial dependence and space-time trend in extreme events ⋮ An estimator of the stable tail dependence function based on the empirical beta copula ⋮ Two-Sample Testing for Tail Copulas with an Application to Equity Indices ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models ⋮ TESTING FOR CHANGES IN KENDALL’S TAU ⋮ Where does the tail begin? An approach based on scoring rules

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